Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets. In this study, we examine the convenience of the FIGARCH (1, d, 1) and FIAPARCH (1, d, 1) models in evaluating asymmetry features and long memory in the volatility of the Turkish Stock Market...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2014-12-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31964/352053?publisher=http-www-cag-edu-tr-ilhan-ozturk |